Capricorn CTA Program Performances

CTA Strategy Performances, November 2016

CTA Strategy Performances

The financial markets were driven by trends, reversals and events centred on the build up to and eventual outcome of the US presidential election. Following the unexpected result in the changing government, markets were initially sold off before rallying as the decision settled amongst investors buying into risk, volatility and a strengthening Dollar.

In the G-10 currency strategy portfolio, all but one of the positions that remained open from October had close signals prior to November 10th. As the portfolio sought new developments of possible trends overall exposure was limited to only two open positions. In the second half of the month further signals were triggered that either bought into the strengthening Dollar or selling the low interesting bearing Yen.

During the month of November the Trend Diversified portfolio was more heavily traded than experienced in earlier periods. All but one of the 20 markets was exposed with six markets executing a trade reversal or continuation in the established trend. Under this ideal trending environment the losses have been well contained as profits have been allowed to run. Only one open position has produced a slight negative result with other signals following market direction.

G-10 Currency Signals
With a strong performance generated from the end of month rally in October, the portfolio was dragged into negative territory as EURUSD, USDJPY, USDCHF and AUDJPY realised losses against close signals by the second trading day of the new month. Only USDCAD and USDTRY remained open from the last period and, a strong rally in the latter resulted in USDTRY ending the month as one of three significant contributors for the positive result. Bought positions in USDJPY and GBPJPY were the other two trades that generated individual performances of over one percent return.

Diversified Indices Signals
The equity markets were the more actively traded components of the Trend Diversified strategy, with the; S&P, NASDAQ, FTSE, and NIKKEI generating several trading signals to execute. S&P and DOW were the strong performers with the Hang Seng being the only position neutral market. Interest rates were sold lower along with Gold, contributing to the portfolio’s positive return. Soft commodities contributed the largest portion of the month result, however the standout position was a buy signal from month start in Copper that generated over 1% in unrealised profit.

CTA Trading Strategies

CTA Strategy Portfolio Inception Annual MTD YTD
fxST(Lev1) Overlay Strategy JAN-1999 5.42% 0.45% 1.48%
fxST(3x) Directional Strategy JAN-1999 16.26% 1.35% 4.47%
Trend I (FX-only) Trend Following JAN-2010 11.45% 1.26% -1.25%
Trend II (Diversified) Trend Following JAN-2013 20.39% -0.31% 4.85%
FX Core Multi Strategy JAN-2010 19.45% 2.01% 0.78%
FX-DM Systematic Systematic Trading OCT-2014 53.17% 1.12% 3.10%
Intraday Trend - FX Systematic Trading MAR-2015 50.14% 4.87% 9.73%

Note: Results of the Capricorn CTA Strategy Signals are calculated as of Friday 31st April, 2017
A comparative analysis can be made against the Newedge CTA Index as the performance benchmark.

Disclaimers and Risk Disclosures
Commodity Trading involves substantial risk of loss and is not suitable for all investors. Any CTA strategy performances results listed in all marketing materials represents simulated computer results over past historical data, and not the results of an actual account. All opinions expressed anywhere on this website are only opinions of the author. The information contained here was gathered from sources deemed reliable, however, no claim is made as to its accuracy or content. Different testing platforms can produce slightly different results. Our systems are only recommended for well capitalized and experienced investors.

Hypothetical performance results have many inherent limitations, some of which are described below. No representation is being made that any account will or is likely to achieve profits or losses similar to those shown. in fact, there are frequently sharp differences between hypothetical performance results and the actual results subsequently achieved by any particular trading strategy.

One of the limitations of hypothetical performance results is that they are generally prepared with the benefit of hindsight. In addition, hypothetical trading does not involve financial risk, and no hypothetical trading record can completely account for the impact of financial risk in actual trading. For example, the ability to withstand losses or to adhere to a particular trading program in spite of trading losses are material points which can also adversely affect actual trading results. There are numerous other factors related to the markets in general or to the implementation of any specific trading program which cannot be fully accounted for in the preparation of hypothetical performance results and all of which can adversely affect actual trading results.